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The Co-initial Swap Market Model

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Author Info
Stefano Galluccio
Christopher Hunter

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Abstract

In this paper, we introduce a novel approach to the pricing and the risk management of generic European style interest-rate derivatives. This new model has great flexibility and has the advantage of avoiding complex model calibration techniques typical of standard short-rate models. Dynamics is assigned on a set of co-initial forward swap rates, and arbitrage-free restrictions are determined in a normal and lognormal setup. Model implementation and calibration are discussed, and details of two example applications are also presented. Copyright Banca Monte dei Paschi di Siena SpA, 2004

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Article provided by Banca Monte dei Paschi di Siena SpA in its journal Economic Notes.

Volume (Year): 33 (2004)
Issue (Month): 2 (07)
Pages: 209-232
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Handle: RePEc:bla:ecnote:v:33:y:2004:i:2:p:209-232

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  1. Mark Davis & Vicente Mataix-Pastor, 2007. "Negative Libor rates in the swap market model," Finance and Stochastics, Springer, vol. 11(2), pages 181-193, April. [Downloadable!] (restricted)
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This page was last updated on 2009-11-22.

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